Modelling irregulary spaced financial data. Theory and practice of dynamic duration models.

DOI10.1007/978-3-642-17015-7zbMath1081.91001OpenAlexW2483912703MaRDI QIDQ1880662

Nikolaus Hautsch

Publication date: 30 September 2004

Published in: Lecture Notes in Economics and Mathematical Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-17015-7

zbMATH Keywords

point processesintensity modelsautoregressive conditional duration modelsfinancial duration

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

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